Because interventions related to diet and other health behaviours are seldom successful and/or sustainable, it is extremely important to identify the individual factors that contribute to a healthier or unhealthier diet. To this end, we use cross-sectional data from the IDEFICS study to analyse the dietary behaviour of children aged between 2 and 9 years in eight European countries. We model the complex nature of these individual factors using structural equation modelling. Our results show that both sedentary behaviour and food exposure are strong contributors to children’s dietary choices. However, although we find a positive relation between a healthy diet and weight status for girls, weight status appears independent of diet quality for boys. These outcomes, although they permit no firm conclusions on health policy strategies, clearly suggest that further research based on longitudinal data could provide valuable insights for the design of successful prevention and intervention strategies.